TD (TD) launches auto-callable ETF-linked notes with ≥13.5% coupon — due 2029
Filing Impact
Filing Sentiment
Form Type
424B2
Rhea-AI Filing Summary
The Toronto-Dominion Bank is offering market-linked, auto-callable senior debt securities due May 30, 2029, linked to the lowest performing of the State Street® sector ETFs: Energy (XLE), Technology (XLK) and Health Care (XLV). Each security has a $1,000 face amount and an original offering price of $1,000.
The securities pay quarterly contingent coupon payments at a rate determined on the pricing date, which will be at least 13.50% per annum, only if the lowest performing Fund on each calculation day is at or above its coupon threshold (75% of its starting price). The securities are auto-callable on certain quarterly calculation days between November 2026 and February 2029 if the lowest performing Fund is at or above its starting price; called holders receive the face amount plus a final contingent coupon.
If not called, maturity pays $1,000 if the lowest performing Fund's ending price is at or above its downside threshold (70% of starting price); otherwise the maturity payment equals $1,000 × the Fund's performance factor, exposing holders to loss 30% or total loss). The pricing supplement discloses an estimated value range of $910.00 to $945.00 per security and shows proceeds to the Bank of $974.25 per security after an agent discount of $25.75. Payments are subject to the Bank's credit risk and U.S. and Canadian tax treatment is uncertain.
Positive
- None.
Negative
- None.
Insights
High coupon tied to significant downside and issuer credit risk.
The securities offer a contingent coupon with a stated minimum of 13.50% per annum, paid quarterly only if the lowest performing Fund meets its coupon threshold (75% of starting price). The estimated value range ($910–$945) is below the offering price, reflecting embedded costs, hedging and expected profits.
Key sensitivities are (1) whether any calculation day supports coupon payment, (2) correlation and volatility among XLE/XLK/XLV, and (3) issuer credit. Market participants should note that automatic calls can shorten term to ~six months and that secondary-market liquidity is not guaranteed.
Tax characterization is uncertain; constructive ownership risk highlighted.
The issuer and its counsel advise treating the securities as prepaid derivative contracts with contingent coupons taxable as ordinary income. However, alternative treatments (including as a contingent payment debt instrument or a Section 1260 constructive ownership transaction) are possible, which could recharacterize gains and affect timing and rates.
Non-U.S. holders face adverse withholding risk; holders should consult tax advisors given the absence of specific authority and possible future regulatory changes.
Key Figures
Original Offering Price: $1,000 per security
Agent Discount: $25.75 per security
Proceeds to Bank: $974.25 per security
+5 more
8 metrics
Original Offering Price
$1,000 per security
face amount and original offering price
Agent Discount
$25.75 per security
selling commission deducted from offering price
Proceeds to Bank
$974.25 per security
net proceeds per security after agent discount
Estimated Value Range
$910.00–$945.00 per security
estimated value on the pricing date
Contingent Coupon Rate (minimum)
13.50% per annum
minimum coupon rate determined on pricing date
Stated Maturity Date
May 30, 2029
stated maturity (subject to postponement)
Coupon Threshold
75% of starting price
level required for coupon payment on calculation days
Downside Threshold
70% of starting price
level below which maturity principal is reduced
Key Terms
Contingent coupon payment, Automatic Call, Performance Factor, Downside Threshold Price
4 terms
Contingent coupon payment financial
"On each contingent coupon payment date, you will receive a contingent coupon payment"
Automatic Call financial
"If the fund closing price of the lowest performing Fund on any of the calculation days ... the securities will be automatically called"
An automatic call is a feature of certain bonds or structured notes that forces the issuer to repay the investment early if a preset condition—usually the price of a stock or index—meets or exceeds a set level on a review date. For investors it matters because it can end the investment sooner than expected, locking in a defined payout but also creating reinvestment risk and changing the timing of returns much like an appliance that turns itself off when it reaches a set temperature.
Performance Factor financial
"performance factor of a Fund on any calculation day, its fund closing price ... divided by its starting price"
Downside Threshold Price financial
"Downside Threshold Price ... equal to 70% of its starting price"
The information in this pricing supplement is not complete and may be changed. This pricing supplement is not an offer to sell nor does it seek an offer to
buy these securities in any state where the offer or sale is not permitted.
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PRELIMINARY PRICING SUPPLEMENT
Subject to Completion, dated April 29, 2026
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-283969
(To Product Supplement MLN-WF-1 dated February 26, 2025
and Prospectus dated February 26, 2025)
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The Toronto-Dominion Bank
Senior Debt Securities, Series H
ETF Linked Securities
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the State Street®
Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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■ Linked to the lowest performing of the State Street® Energy Select Sector SPDR® ETF, the State Street® Technology
Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF (each referred to as a “Fund”)
■ Unlike ordinary debt securities, the securities do not provide for fixed payments of interest, do not repay a fixed amount of principal at stated maturity and are subject to potential
automatic call prior to stated maturity upon the terms described below. Whether the securities pay a contingent coupon payment, whether the securities are automatically called prior to stated maturity and, if they are not automatically
called, whether you receive the face amount of your securities at stated maturity will depend, in each case, on the fund closing price of the lowest performing Fund on the relevant calculation day. The lowest performing Fund on any
calculation day is the Fund that has the lowest fund closing price on that calculation day as a percentage of its starting price
■ Contingent Coupon. The securities will pay a contingent coupon payment on a quarterly basis until the earlier of stated maturity or automatic call
if, and only if, the fund closing price of the lowest performing Fund on the calculation day for that quarter is greater than or equal to its coupon threshold price. However, if the fund closing
price of the lowest performing Fund on a calculation day is less than its coupon threshold price, you will not receive any contingent coupon payment for the relevant quarter. If the fund closing price of the lowest performing Fund is less
than its coupon threshold price on every calculation day, you will not receive any contingent coupon payments throughout the entire term of the securities. The coupon threshold price for each Fund is equal to 75% of its starting price.
The contingent coupon rate will be determined on the pricing date and will be at least 13.50% per annum
■ Automatic Call. If the fund closing price of the lowest performing Fund on any of the quarterly calculation days from November 2026 to February
2029, inclusive, is greater than or equal to its starting price, the securities will be automatically called for the face amount plus a final contingent coupon payment
■ Potential Loss of Principal. If the securities are not automatically called prior to stated maturity, you will receive the face amount at stated
maturity if, and only if, the fund closing price of the lowest performing Fund on the final calculation day is greater than or equal to its downside threshold price. If the fund closing price of
the lowest performing Fund on the final calculation day is less than its downside threshold price, you will lose more than 30%, and possibly all, of the face amount of your securities. The downside threshold price for each Fund is equal to 70% of its starting price
■ If the securities are not automatically called prior to stated maturity, you will have full downside exposure to the lowest performing Fund from its starting price if its fund closing
price on the final calculation day is less than its downside threshold price, but you will not participate in any appreciation of any Fund and will not receive any dividends on securities included in any Fund
■ Your return on the securities will depend solely on the performance of the Fund that is the lowest performing Fund on each calculation day. You
will not benefit in any way from the performance of a better performing Fund. Therefore, you will be adversely affected if any Fund performs poorly, even if another Fund performs favorably
■ All payments on the securities are subject to the credit risk of The Toronto-Dominion Bank (the “Bank”)
■ No exchange listing; designed to be held to maturity
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The estimated value of the securities at the time the terms of your securities are set on the pricing date is expected to be between $910.00 and $945.00 per security, as discussed
further under “Selected Risk Considerations— Risks Relating To The Estimated Value Of The Securities And Any Secondary Market” beginning on page P-11 and “Estimated Value of the Securities” herein. The estimated value is expected to be less than
the original offering price of the securities.
The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk
Considerations” beginning on page P-10 herein and “Risk Factors” beginning on page PS-5 of the accompanying product supplement and on page 1 of the accompanying prospectus.
The securities are senior unsecured debt obligations of the Bank, and, accordingly, all payments are subject to credit risk. The securities are not insured by the Canada Deposit
Insurance Corporation pursuant to the Canada Deposit Insurance Corporation Act (the “CDIC Act”) or the U.S. Federal Deposit Insurance Corporation or any other governmental agency of Canada, the United States or any other jurisdiction.
Neither the U.S. Securities and Exchange Commission nor any state securities commission or other regulatory body has approved or disapproved of these securities
or passed upon the accuracy or adequacy of this pricing supplement or the accompanying product supplement and prospectus. Any representation to the contrary is a criminal offense.
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Original Offering Price
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Agent Discount(1)
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Proceeds to The Toronto-Dominion Bank
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Per Security
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$1,000.00
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$25.75
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$974.25
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Total
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The Agents may receive a commission of up to $25.75 (2.575%) per security and may use a portion of that commission to allow selling concessions to other dealers in connection with the distribution of the
securities, or will offer the securities directly to investors. The Agents may resell the securities to other securities dealers at the original offering price less a concession not in excess of $17.50 (1.75%) per security. Such securities
dealers may include Wells Fargo Advisors (“WFA”, the trade name of the retail brokerage business of Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), an affiliate of Wells Fargo Securities, LLC (“Wells
Fargo Securities”). The other dealers may forgo, in their sole discretion, some or all of their selling concessions. In addition to the selling concession allowed to WFA, Wells Fargo Securities may pay $0.75 (0.075%) per security of the
agent discount to WFA as a distribution expense fee for each security sold by WFA. The Bank will reimburse TD Securities (USA) LLC (“TDS”) for certain expenses in connection with its role in the offer and sale of the securities, and the
Bank will pay TDS a fee in connection with its role in the offer and sale of the securities. In respect of certain securities sold in this offering, we may pay a fee of up to $2.00 per security to selected securities dealers in
consideration for marketing and other services in connection with the distribution of the securities to other securities dealers. See “Terms of the Securities—Agents” herein and “Supplemental Plan of Distribution (Conflicts of Interest)
–Selling Restrictions” in the accompanying product supplement.
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TD Securities (USA) LLC
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Wells Fargo Securities
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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Terms of the Securities
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Issuer:
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The Toronto-Dominion Bank (the “Bank”).
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Market Measures:
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The State Street® Energy Select Sector SPDR® ETF, the State Street® Technology Select Sector SPDR® ETF and the State Street®
Health Care Select Sector SPDR® ETF (each referred to as a “Fund,” and collectively as the “Funds”).
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Fund Underlying
Indices
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With respect to the State Street® Energy Select Sector SPDR® ETF: the Energy Select Sector Index
With respect to the State Street® Technology Select Sector SPDR® ETF: the Technology Select Sector Index
With respect to the State Street® Health Care Select Sector SPDR® ETF: the Health Care Select Sector Index
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Pricing Date*:
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May 29, 2026.
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Issue Date*:
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June 3, 2026.
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Original Offering
Price:
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$1,000 per security.
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Face Amount:
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$1,000 per security. References in this pricing supplement to a “security” are to a security with a face amount of $1,000.
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Contingent Coupon
Payment:
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On each contingent coupon payment date, you will receive a contingent coupon payment at a per annum rate equal to the contingent coupon rate if, and only if, the fund closing price of the lowest performing Fund on the related calculation day is greater than or equal to its coupon threshold price. Each “contingent coupon payment,” if any, will be calculated per
security as follows: ($1,000 × contingent coupon rate)/4. Any contingent coupon payment will be rounded to the nearest cent, with one-half cent rounded upward.
If the fund closing price of the lowest performing Fund on any calculation day is less than its coupon threshold price, you will not receive any
contingent coupon payment on the related contingent coupon payment date. If the fund closing price of the lowest performing Fund is less than its coupon threshold price on all calculation days, you will not receive any contingent coupon
payments over the term of the securities.
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Contingent Coupon
Payment Dates:
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Quarterly, on the third business day following each calculation day (as each such calculation day may be postponed pursuant to “—Market Disruption Events and Postponement
Provisions” below, if applicable); provided that the contingent coupon payment date with respect to the final calculation day will be the stated maturity date.
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Contingent Coupon
Rate:
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The “contingent coupon rate” will be determined on the pricing date and will be at least 13.50% per annum.
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Automatic Call:
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If the fund closing price of the lowest performing Fund on any of the calculation days from November 2026 to February 2029, inclusive, is greater than or equal to its
starting price, the securities will be automatically called, and on the related call settlement date you will be entitled to receive a cash payment per security in U.S. dollars equal to the face amount plus a final contingent coupon
payment. The securities will not be subject to automatic call until the second calculation day, which is approximately six months after the issue date.
If the securities are automatically called, they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities
after such call settlement date. You will not receive any notice from us if the securities are automatically called.
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Calculation Days*:
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Quarterly, on the 24th day of each February, May, August and November, commencing in August 2026 and ending May 2029,
each subject to postponement as described below under “—Market Disruption Events and Postponement Provisions.” We refer to the calculation day scheduled to occur in May 2029 (expected to be May 24, 2029) as the “final calculation day.”
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Call Settlement
Date:
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Three business days after the applicable calculation day (as each such calculation day may be postponed pursuant to “—Market Disruption Events and Postponement Provisions”
below, if applicable).
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Stated Maturity
Date*:
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May 30, 2029, subject to postponement. The securities are not subject to repayment at the option of any holder of the securities prior to the stated maturity date.
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Maturity Payment
Amount:
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If the securities are not automatically called prior to the stated maturity date, you will be entitled to receive on the stated maturity date a cash payment per security
in U.S. dollars equal to the maturity payment amount (in addition to the final contingent coupon payment, if any). The “maturity payment amount” per security will equal:
• if the ending price of the lowest performing Fund on the final calculation day is greater than or equal
to its downside threshold price: $1,000; or
• if the ending price of the lowest performing Fund on the final calculation day is less than its
downside threshold price:
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P-2
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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$1,000 × performance factor of the lowest performing Fund on the final calculation day
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If the securities are not automatically called prior to stated maturity and the ending price of the lowest performing Fund on the final calculation day
is less than its downside threshold price, you will lose more than 30%, and possibly all, of the face amount of your securities at stated maturity.
Any return on the securities will be limited to the sum of your contingent coupon payments, if any. You will not participate in any appreciation of any
Fund, but you will have full downside exposure to the lowest performing Fund on the final calculation day if the ending price of that Fund is less than its downside threshold price.
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Lowest Performing
Fund:
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For any calculation day, the “lowest performing Fund” will be the Fund with the lowest performance factor on that calculation day.
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Performance Factor:
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With respect to a Fund on any calculation day, its fund closing price on such calculation day divided by its starting price
(expressed as a percentage).
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Fund Closing Price:
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With respect to each Fund, fund closing price has the meaning set forth under “General Terms of the Securities—Certain Terms for Securities Linked to a Fund—Certain
Definitions” in the accompanying product supplement.
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Starting Price:
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With respect to the State Street® Energy Select Sector SPDR® ETF: $ , its fund closing
price on the pricing date.
With respect to the State Street® Technology Select Sector SPDR® ETF: $ , its fund
closing price on the pricing date.
With respect to the State Street® Health Care Select Sector SPDR® ETF: $ , its fund
closing price on the pricing date.
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Ending Price:
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The “ending price” of a Fund will be its fund closing price on the final calculation day.
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Coupon Threshold
Price:
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With respect to the State Street® Energy Select Sector SPDR® ETF: $ , which is equal
to 75% of its starting price.
With respect to the State Street® Technology Select Sector SPDR® ETF: $ , which is
equal to 75% of its starting price.
With respect to the State Street® Health Care Select Sector SPDR® ETF: $ , which is
equal to 75% of its starting price.
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Downside Threshold
Price:
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With respect to State Street® Energy Select Sector SPDR® ETF: $ , which is equal to
70% of its starting price.
With respect to State Street® Technology Select Sector SPDR® ETF: $ , which is equal
to 70% of its starting price.
With respect to the State Street® Health Care Select Sector SPDR® ETF: $ , which is
equal to 70% of its starting price.
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Market Disruption
Events and
Postponement
Provisions:
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Each calculation day is subject to postponement due to non-trading days and the occurrence of a market disruption event. In addition, the stated maturity date will be
postponed if the final calculation day is postponed and will be adjusted for non-business days. For more information regarding adjustments to the calculation days and the stated maturity date, see “General Terms of the
Securities—Consequences of a Market Disruption Event; Postponement of a Calculation Day—Securities Linked to Multiple Market Measures” and “—Payment Dates” in the accompanying product supplement. For purposes of the accompanying product
supplement, each call settlement date and the stated maturity date is a “payment date.” In addition, for information regarding the circumstances that may result in a market disruption event, see “General Terms of the Securities—Certain
Terms for Securities Linked to a Fund—Market Disruption Events” in the accompanying product supplement.
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Calculation Agent:
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The Bank
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P-3
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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U.S. Tax Treatment:
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By purchasing the securities, you agree, in the absence of a statutory or regulatory change or an administrative determination or judicial ruling to the contrary, to treat
the securities, for U.S. federal income tax purposes, as prepaid derivative contracts with respect to the Funds with associated contingent coupon payments. If the securities are so treated, any contingent coupon payment paid on the
securities would be treated as ordinary income includable in income by you in accordance with your regular method of accounting for U.S. federal income tax purposes. Based on certain factual representations received from us, our special
U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson LLP, is of the opinion that it would be reasonable to treat the securities in the manner described above. However, because there is no authority that specifically addresses the
tax treatment of the securities, it is possible that your securities could alternatively be treated for tax purposes as a single contingent payment debt instrument, as a constructive ownership transaction under Section 1260 of the Code, or
pursuant to some other characterization, such that the timing and character of your income from the securities could differ materially and adversely from the treatment described above, as described further under “Material U.S. Federal
Income Tax Consequences” herein and in the product supplement. An investment in the securities is not appropriate for non-U.S. holders, and we will not attempt to ascertain the tax consequences to non-U.S.
holders of the purchase, ownership or disposition of the securities.
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Canadian Tax
Treatment:
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Please see the discussion herein under “Canadian Taxation”, which applies to the securities. We will not pay any additional amounts as a result of any withholding required
by reason of the rules governing hybrid mismatch arrangements contained in sections 12.7 and 18.4 of the Canadian Tax Act (as defined under “Canadian Taxation” herein), as such rules may be amended from time to time.
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Agents:
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TD Securities (USA) LLC and Wells Fargo Securities, LLC.
The Agents may receive a commission of up to $25.75 (2.575%) per security and may use a portion of that commission to allow selling concessions to other dealers in
connection with the distribution of the securities, or will offer the securities directly to investors. The Agents may resell the securities to other securities dealers at the original offering price less a concession not in excess of
$17.50 (1.75%) per security. Such securities dealers may include WFA. In addition to the selling concession allowed to WFA, Wells Fargo Securities may pay $0.75 (0.075%) per security of the agent discount to WFA as a distribution expense
fee for each security sold by WFA.
In addition, in respect of certain securities sold in this offering, we may pay a fee of up to $2.00 per security to selected securities dealers in consideration for
marketing and other services in connection with the distribution of the securities to other securities dealers. We or one of our affiliates will also pay a fee to iCapital Markets LLC, who is acting as a dealer in connection with the
distribution of the securities.
The price at which you purchase the securities includes costs that the Bank, the Agents or their respective affiliates expect to incur and profits that the Bank, the
Agents or their respective affiliates expect to realize in connection with hedging activities related to the securities, as set forth above. These costs and profits will likely reduce the secondary market price, if any secondary market
develops, for the securities. As a result, you may experience an immediate and substantial decline in the market value of your securities on the pricing date. See “Selected Risk Considerations — Risks Relating To The Estimated Value Of The
Securities And Any Secondary Market — The Agent Discount, Offering Expenses And Certain Hedging Costs Are Likely To Adversely Affect Secondary Market Prices” in this pricing supplement.
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Listing:
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The securities will not be listed or displayed on any securities exchange or electronic communications network
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Canadian
Bail-in:
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The securities are not bail-inable debt securities under the CDIC Act
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Denominations:
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$1,000 and any integral multiple of $1,000.
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CUSIP / ISIN:
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89115LTV0 / US89115LTV08
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*To the extent that we make any change to the expected pricing date or expected issue date, the calculation days and stated maturity date may also be changed in our discretion to
ensure that the term of the securities remains the same.
P-4
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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Additional Information about the Issuer and the Securities
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You should read this pricing supplement together with product supplement MLN-WF-1 dated February 26, 2025, the underlier supplement dated February 26, 2025 and the prospectus dated February 26, 2025
for additional information about the securities. Information included in this pricing supplement supersedes information in the product supplement, underlier supplement and prospectus to the extent it is different from that information. Certain
defined terms used but not defined herein have the meanings set forth in the product supplement or prospectus. In the event of any conflict, the following hierarchy will govern: first, this pricing supplement; second, the product supplement; and
last, the prospectus. The securities may vary from the terms described in the accompanying product supplement and prospectus in several important ways. You should read this pricing supplement,
including the documents incorporated herein, carefully.
You may access the product supplement, underlier supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has changed, by reviewing our filing for the relevant date on
the SEC website):
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Product Supplement MLN-WF-1 dated February 26, 2025:
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http://www.sec.gov/Archives/edgar/data/947263/000114036125006130/ef20044457_424b3.htm
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Underlier Supplement dated February 26, 2025:
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http://www.sec.gov/Archives/edgar/data/947263/000114036125006121/ef20044458_424b3.htm
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Prospectus dated February 26, 2025:
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http://www.sec.gov/Archives/edgar/data/947263/000119312525036639/d931193d424b5.htm
Our Central Index Key, or CIK, on the SEC website is 0000947263. As used in this pricing supplement, the “Bank,” “we,” “us,” or “our” refers to The Toronto-Dominion Bank and its
subsidiaries.
We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities, we will notify you
and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes, in which case we may reject your offer to purchase.
P-5
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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Estimated Value of the Securities
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The final terms for the securities will be determined on the date the securities are initially priced for sale to the public, which we refer to as the pricing date, as indicated
under “Terms of the Securities” herein, based on prevailing market conditions on the pricing date, and will be communicated to investors in the final pricing supplement.
The economic terms of the securities are based on our internal funding rate (which is our internal borrowing rate based on variables such as market benchmarks and our appetite
for borrowing), and several factors, including any sales commissions expected to be paid to TDS or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries,
the estimated profit that we or any of our affiliates expect to earn in connection with structuring the securities, estimated costs which we may incur in connection with the securities and an estimate of the difference between the amounts we pay to
an affiliate of Wells Fargo Securities and the amounts that an affiliate of Wells Fargo Securities pays to us in connection with hedging your securities as described further under “Terms of the Securities—Agents” herein and “Risk Factors—Risks
Relating To Hedging Activities And Conflicts Of Interest” in the accompanying product supplement. Because our internal funding rate generally represents a discount from the levels at which our benchmark debt securities trade in the secondary
market, the use of an internal funding rate for the securities rather than the levels at which our benchmark debt securities trade in the secondary market is expected to have an adverse effect on the economic terms of the securities.
On the cover page of this pricing supplement, we have provided the estimated value range for the securities. The estimated value range was determined by reference to our internal
pricing models which take into account a number of variables and are based on a number of assumptions, which may or may not materialize, typically including volatility, interest rates (forecasted, current and historical rates), price-sensitivity
analysis, time to maturity of the securities and our internal funding rate. For more information about the estimated value, see “Selected Risk Considerations — Risks Relating To The Estimated Value Of The Securities And Any Secondary Market”
herein. Because our internal funding rate generally represents a discount from the levels at which our benchmark debt securities trade in the secondary market, the use of an internal funding rate for the securities rather than the levels at which
our benchmark debt securities trade in the secondary market is expected, assuming all other economic terms are held constant, to increase the estimated value of the securities. For more information see the discussion under “Selected Risk
Considerations — Risks Relating To The Estimated Value Of The Securities And Any Secondary Market — The Estimated Value Of Your Securities Is Based On Our Internal Funding Rate.”
Our estimated value on the pricing date is not a prediction of the price at which the securities may trade in the secondary market, nor will it be the price at which the Agents
may buy or sell the securities in the secondary market. Subject to normal market and funding conditions, the Agents or another affiliate of ours intends to offer to purchase the securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the pricing date, the price at which the Agents may initially buy or sell the securities in the secondary market, if any,
may exceed our estimated value on the pricing date for a temporary period expected to be approximately three months after the issue date because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost
of hedging our obligations under the securities and other costs in connection with the securities which we will no longer expect to incur over the term of the securities. We made such discretionary election and determined this temporary
reimbursement period on the basis of a number of factors, including the tenor of the securities and any agreement we may have with the distributors of the securities. The amount of our estimated costs which we effectively reimburse to investors in
this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the issue date of the securities based on changes in market
conditions and other factors that cannot be predicted.
We urge you to read the “Selected Risk Considerations” in this pricing supplement.
P-6
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Investor Considerations
|
The securities are not appropriate for all investors. The securities may be an appropriate investment for investors who:
| ■ |
seek an investment with contingent coupon payments at a rate of at least 13.50% per annum (to be determined on the pricing date) until the earlier of stated maturity or automatic call, if, and only if,
the fund closing price of the lowest performing Fund on the applicable calculation day is greater than or equal to 75% of its starting price;
|
| ■ |
understand that if the ending price of the lowest performing Fund on the final calculation day has declined by more than 30% from its starting price, they will be fully exposed to the decline in the lowest performing Fund from its
starting price and will lose more than 30%, and possibly all, of the face amount at stated maturity;
|
| ■ |
are willing to accept the risk that they may receive few or no contingent coupon payments over the term of the securities;
|
| ■ |
understand that the securities may be automatically called prior to stated maturity and that the term of the securities may be as short as approximately six months;
|
| ■ |
understand that the return on the securities will depend solely on the performance of the Fund that is the lowest performing Fund on each calculation day and that they will not benefit in any way from the performance of a better
performing Fund;
|
| ■ |
understand that the securities are riskier than alternative investments linked to only one of the Funds or linked to a basket composed of each Fund;
|
| ■ |
understand and are willing to accept the full downside risks of each Fund;
|
| ■ |
are willing to forgo participation in any appreciation of any Fund and dividends on shares of any Fund and the securities held by any Fund; and
|
| ■ |
are willing to hold the securities until maturity.
|
The securities may not be an appropriate investment for investors who:
| ■ |
seek a liquid investment or are unable or unwilling to hold the securities to maturity;
|
| ■ |
require full payment of the face amount of the securities at stated maturity;
|
| ■ |
seek a security with a fixed term;
|
| ■ |
are unwilling to purchase securities with an estimated value as of the pricing date that is lower than the original offering price and that may be as low as the lower estimated value set forth on the cover page;
|
| ■ |
are unwilling to accept the risk that the fund closing price of the lowest performing Fund on the final calculation day may decline by more than 30% from its starting price;
|
| ■ |
seek certainty of current income over the term of the securities;
|
| ■ |
seek exposure to the upside performance of any or each Fund;
|
| ■ |
seek exposure to a basket composed of each Fund or a similar investment in which the overall return is based on a blend of the performances of the Funds, rather than solely on the lowest performing Fund;
|
| ■ |
are unwilling to accept the risk of exposure to the Funds;
|
| ■ |
are unwilling to accept the credit risk of the Bank; or
|
| ■ |
prefer the lower risk of conventional fixed income investments with comparable maturities issued by companies with comparable credit ratings.
|
The considerations identified above are not exhaustive. Whether or not the securities are an appropriate investment
for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the “Selected Risk Considerations” herein and the “Risk Factors” in the accompanying product supplement
for risks related to an investment in the securities. For more information about the Funds, please see the section titled “The Market Measures” below.
P-7
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Determining Payment On A Contingent Coupon Payment Date and at Maturity
|
If the securities have not been previously automatically called, on each contingent coupon payment date, you will either receive a contingent coupon payment or you will not
receive a contingent coupon payment, depending on the fund closing price of the lowest performing Fund on the related calculation day.
Step 1: Determine which Fund is the lowest performing Fund on the relevant calculation day. The lowest performing Fund on any calculation day is the Fund
with the lowest performance factor on that calculation day. The performance factor of a Fund on a calculation day is its fund closing price on that calculation day as a percentage of its starting price (i.e., its fund closing price on that
calculation day divided by its starting price).
Step 2: Determine whether a contingent coupon payment is paid on the applicable contingent coupon payment date based on the fund closing price of the lowest
performing Fund on the relevant calculation day, as follows:
If the securities have not been automatically called prior to the stated maturity date, then at maturity you will receive (in addition to the final contingent coupon payment, if any) a cash
payment per security (the maturity payment amount) calculated as follows:
Step 1: Determine which Fund is the lowest performing Fund on the final calculation day. The lowest performing Fund on the final calculation day is the Fund
with the lowest performance factor on the final calculation day. The performance factor of a Fund on the final calculation day is its ending price as a percentage of its starting price (i.e., its ending price divided
by its starting price).
Step 2: Calculate the maturity payment amount based on the ending price of the lowest performing Fund, as follows:
P-8
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Hypothetical Payout Profile
|
The following profile illustrates the potential maturity payment amount on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances of the
lowest performing Fund on the final calculation day from its starting price to its ending price, assuming the securities have not been automatically called prior to the stated maturity date. As this profile illustrates, in no event will you have a
positive rate of return based solely on the maturity payment amount received at maturity; any positive return will be based solely on the contingent coupon payments, if any, received during the term of the securities. This graph has been prepared
for purposes of illustration only. Your actual return will depend on the actual ending price of the lowest performing Fund on the final calculation day and whether you hold your securities to stated maturity. The performance of a better performing
Fund is not relevant to your return on the securities.
P-9
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Selected Risk Considerations
|
The securities have complex features and investing in the securities will involve risks not associated with an investment in conventional debt securities. Some of the risks that apply to an
investment in the securities are summarized below, but we urge you to read the more detailed explanation of the risks relating to the securities generally in the “Risk Factors” section of the accompanying product supplement. You should reach an
investment decision only after you have carefully considered with your advisors the appropriateness of an investment in the securities in light of your particular circumstances.
Risks Relating To The Securities Generally
If The Securities Are Not Automatically Called Prior To Stated Maturity, You May Lose Some Or All Of The Face Amount Of Your Securities At Stated Maturity.
We will not repay you a fixed amount on the securities at stated maturity. If the securities are not automatically called prior to stated maturity, you will receive a maturity payment amount that
will be equal to or less than the face amount, depending on the ending price of the lowest performing Fund on the final calculation day.
If the ending price of the lowest performing Fund on the final calculation day is less than its downside threshold price, the maturity payment amount will be reduced by an amount equal to the decline
in the price of the lowest performing Fund from its starting price (expressed as a percentage of its starting price). The downside threshold price for each Fund is 70% of its starting price. For example, if the securities are not automatically
called and the lowest performing Fund on the final calculation day has declined by 30.1% from its starting price to its ending price, you will not receive any benefit of the contingent downside protection feature and you will lose 30.1% of the face
amount. As a result, you will not receive any protection if the price of the lowest performing Fund on the final calculation day declines significantly and you may lose some, and possibly all, of the face amount at stated maturity, even if the
price of the lowest performing Fund is greater than or equal to its starting price or its downside threshold price at certain times during the term of the securities.
Even if the ending price of the lowest performing Fund on the final calculation day is greater than or equal to its downside threshold price, the maturity payment amount will not exceed the face
amount, and your yield on the securities, taking into account any contingent coupon payments you may have received during the term of the securities, may be less than the yield you would earn if you bought a traditional interest-bearing debt
security of the Bank or another issuer with a similar credit rating.
The Securities Do Not Provide For Fixed Payments Of Interest And You May Receive No Coupon Payments On One Or More Contingent Coupon Payment Dates, Or Even Throughout The Entire
Term Of The Securities.
On each contingent coupon payment date you will receive a contingent coupon payment if, and only if, the fund closing price of the lowest performing Fund on
the related calculation day is greater than or equal to its coupon threshold price. The coupon threshold price for each Fund is 75% of its starting price. If the fund closing price of the lowest performing Fund on any calculation day is less than
its coupon threshold price, you will not receive any contingent coupon payment on the related contingent coupon payment date, and if the fund closing price of the lowest performing Fund is less than its coupon threshold price on each calculation
day over the term of the securities, you will not receive any contingent coupon payments over the entire term of the securities.
The Securities Are Subject To The Full Risks Of Each Fund And Will Be Negatively Affected If Any Fund Performs Poorly, Even If Another Fund Performs Favorably.
You are subject to the full risks of each Fund. If any Fund performs poorly, you will be negatively affected, even if another Fund performs favorably. The securities are not linked to a basket
composed of the Funds, where the better performance of a Fund could offset the poor performance of another. Instead, you are subject to the full risks of whichever Fund is the lowest performing Fund on each calculation day. As a result, the
securities are riskier than an alternative investment linked to only one of the Funds or linked to a basket composed of each Fund. You should not invest in the securities unless you understand and are willing to accept the full downside risks of
each Fund.
Your Return On The Securities Will Depend Solely On The Performance Of The Fund That Is The Lowest Performing Fund On Each Calculation Day, And You Will Not Benefit In Any Way From
The Performance Of A Better Performing Fund.
Your return on the securities will depend solely on the performance of the Fund that is the lowest performing Fund on each calculation day. Although it is necessary for each Fund to close above its
respective coupon threshold price on the relevant calculation day in order for you to receive a contingent coupon payment and above its respective downside threshold price on the final calculation day for you to receive the face amount of your
securities at maturity, you will not benefit in any way from the performance of a better performing Fund. The securities may underperform an alternative investment linked to a basket composed of the Funds, since in such case the performance of any
better performing Fund would be blended with the performance of the lowest performing Fund, resulting in a better return than the return of the lowest performing Fund alone.
You Will Be Subject To Risks Resulting From The Relationship Among The Funds.
It is preferable from your perspective for the Funds to be correlated with each other so that their prices will tend to increase or decrease at similar times and by similar magnitudes. By investing
in the securities, you assume the risk that the Funds will not exhibit this relationship. The less correlated the Funds, the more likely it is that any one of the Funds will be performing poorly at any time over the term of the securities. All that
is necessary for the securities to perform poorly is for one of the Funds to perform poorly; the performance of a better performing Fund is not relevant to your return on the securities. It is impossible to predict what the relationship among the
Funds will be over the term of the securities. To the extent the Funds operate in different industries or sectors of the market, such industries and sectors may not perform similarly over the term of the securities.
P-10
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
You May Be Fully Exposed To The Decline In The Lowest Performing Fund On The Final Calculation Day From Its Starting Price, But Will Not Participate In Any Positive Performance Of
Any Fund.
Even though you will be fully exposed to a decline in the price of the lowest performing Fund on the final calculation day if its ending price is below its downside threshold price, you will not
participate in any increase in the price of any Fund over the term of the securities. Your maximum possible return on the securities will be limited to the sum of the contingent coupon payments you receive, if any. Consequently, your return on the
securities may be significantly less than the return you could achieve on an alternative investment that provides for participation in an increase in the price of any or each Fund.
Higher Contingent Coupon Rates Are Associated With Greater Risk.
The securities offer contingent coupon payments at a higher rate, if paid, than the fixed rate we would pay on conventional debt securities of the same maturity. These higher potential contingent
coupon payments are associated with greater levels of expected risk as of the pricing date as compared to conventional debt securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may lose a substantial portion, and possibly all, of the face amount at maturity. The volatility of the Funds and the correlation among the Funds are important factors affecting this risk. Volatility is a
measurement of the size and frequency of daily fluctuations in the price of a Fund, typically observed over a specified period of time. Volatility can be measured in a variety of ways, including on a historical basis or on an expected basis as
implied by option prices in the market. Correlation is a measurement of the extent to which the prices of the Funds tend to fluctuate at the same time, in the same direction and in similar magnitudes. Greater expected volatility of the Funds or
lower expected correlation among the Funds as of the pricing date may result in a higher contingent coupon rate, but it also represents a greater expected likelihood as of the pricing date that the fund closing price of at least one Fund will be
less than its coupon threshold price on one or more calculation days, such that you will not receive one or more, or any, contingent coupon payments during the term of the securities, and that the fund closing price of at least one Fund will be
less than its downside threshold price on the final calculation day such that you will lose a substantial portion, and possibly all, of the face amount at maturity. In general, the higher the contingent coupon rate is relative to the fixed rate we
would pay on conventional debt securities, the greater the expected risk that you will not receive one or more, or any, contingent coupon payments during the term of the securities and that you will lose a substantial portion, and possibly all, of
the face amount at maturity.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called, the term of the securities may be reduced to as short as approximately six months. There is no guarantee that you would be able to reinvest the proceeds
from an investment in the securities at a comparable return for a similar level of risk in the event the securities are automatically called prior to maturity.
Each Calculation Day (Including The Final Calculation Day) And The Related Call Settlement Date (Including The Stated Maturity Date) Is Subject To Market Disruption Events And
Postponements.
Each calculation day (including the final calculation day), and therefore the potential call settlement date and/or contingent coupon payment date (including the maturity date), is subject to
postponement in the case of a market disruption event or a non-trading day as described herein and in the accompanying product supplement.
Risks Relating To An Investment In the Bank’s Debt Securities, Including The Securities
Investors Are Subject To The Bank’s Credit Risk, And The Bank’s Credit Ratings And Credit Spreads May Adversely Affect The Market Value Of The Securities.
Although the return on the securities will be based on the performance of the lowest performing Fund, the payment of any amount due on the securities is subject to the Bank’s credit risk. The
securities are the Bank’s senior unsecured debt obligations. Investors are dependent on the Bank’s ability to pay all amounts due on the securities on each contingent coupon payment date, as well as the call settlement date or stated maturity date
and, therefore, investors are subject to the credit risk of the Bank and to changes in the market’s view of the Bank’s creditworthiness. Any decrease in the Bank’s credit ratings or increase in the credit spreads charged by the market for taking
the Bank’s credit risk is likely to adversely affect the market value of the securities. If the Bank becomes unable to meet its financial obligations as they become due, investors may not receive any amounts due under the terms of the securities.
Risks Relating To The Estimated Value Of The Securities And Any Secondary Market
The Estimated Value Of Your Securities Is Expected To Be Less Than The Original Offering Price Of Your Securities.
The estimated value of your securities on the pricing date is expected to be less than the original offering price of your securities. The difference between the original offering price of your
securities and the estimated value of the securities reflects costs and expected profits associated with selling and structuring the securities, as well as hedging our obligations under the securities. Because hedging our obligations entails risks
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or a loss.
P-11
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
The Estimated Value Of Your Securities Is Based On Our Internal Funding Rate.
The estimated value of your securities on the pricing date is determined by reference to our internal funding rate. The internal funding rate used in the determination of the estimated value of the
securities generally represents a discount from the credit spreads for our conventional, fixed-rate debt securities and the borrowing rate we would pay for our conventional, fixed-rate debt securities. This discount is based on, among other things,
our view of the funding value of the securities as well as the higher issuance, operational and ongoing liability management costs of the securities in comparison to those costs for our conventional, fixed-rate debt, as well as estimated financing
costs of any hedge positions, taking into account regulatory and internal requirements. If the interest rate implied by the credit spreads for our conventional, fixed-rate debt securities, or the borrowing rate we would pay for our conventional,
fixed-rate debt securities were to be used, we would expect the economic terms of the securities to be more favorable to you. Additionally, assuming all other economic terms are held constant, the use of an internal funding rate for the securities
is expected to increase the estimated value of the securities at any time.
The Estimated Value Of The Securities Is Based On Our Internal Pricing Models, Which May Prove To Be Inaccurate And May Be Different From The Pricing Models Of Other Financial
Institutions.
The estimated value of your securities on the pricing date is based on our internal pricing models, which take into account a number of variables, such as our internal funding rate on the pricing
date, and are based on a number of subjective assumptions, which are not evaluated or verified on an independent basis and may or may not materialize. Further, our pricing models may be different from other financial institutions’ pricing models
and the methodologies used by us to estimate the value of the securities may not be consistent with those of other financial institutions that may be purchasers or sellers of the securities in the secondary market. As a result, the secondary market
price of your securities may be materially less than the estimated value of the securities determined by reference to our internal pricing models. In addition, market conditions and other relevant factors in the future may change, and any
assumptions may prove to be incorrect.
The Estimated Value Of Your Securities Is Not A Prediction Of The Prices At Which You May Sell Your Securities In The Secondary Market, If Any, And Such Secondary Market Prices, If
Any, Will Likely Be Less Than The Original Offering Price Of Your Securities And May Be Less Than The Estimated Value Of Your Securities.
The estimated value of the securities is not a prediction of the prices at which the Agents, other affiliates of ours or third parties may be willing to purchase the securities from you in secondary
market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your securities in the secondary market at any time, if any, may be based on pricing models that differ from our
pricing models and will be influenced by many factors that cannot be predicted, such as market conditions and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the securities. Further, as
secondary market prices of your securities take into account the levels at which our debt securities trade in the secondary market and do not take into account our various costs and expected profits associated with selling and structuring the
securities, as well as hedging our obligations under the securities, secondary market prices of your securities will likely be less than the original offering price of your securities. As a result, the price at which the Agents, other affiliates of
ours or third parties may be willing to purchase the securities from you in secondary market transactions, if any, will likely be less than the price you paid for your securities, and any sale prior to the stated maturity date could result in a
substantial loss to you.
The Temporary Price At Which We May Initially Buy The Securities In The Secondary Market May Not Be Indicative Of Future Prices Of Your Securities.
Assuming that all relevant factors remain constant after the pricing date, the price at which the Agents may initially buy or sell the securities in the secondary market (if the Agents make a market
in the securities, which they are not obligated to do) may exceed the estimated value of the securities on the pricing date, as well as the secondary market value of the securities, for a temporary period after the pricing date of the securities,
as discussed further under “Estimated Value of the Securities”. The price at which the Agents may initially buy or sell the securities in the secondary market may not be indicative of future prices of your securities.
The Agent Discount, Offering Expenses And Certain Hedging Costs Are Likely To Adversely Affect Secondary Market Prices.
Assuming no changes in market conditions or any other relevant factors, the price, if any, at which you may be able to sell the securities will likely be less than the original offering price. The
original offering price includes, and any price quoted to you is likely to exclude, the underwriting discount paid in connection with the initial distribution, offering expenses as well as the cost of hedging our obligations under the securities.
In addition, any such price is also likely to reflect dealer discounts, mark-ups and other transaction costs, such as a discount to account for costs associated with establishing or unwinding any related hedge transaction. In addition, because an
affiliate of Wells Fargo Securities is to conduct hedging activities for us in connection with the securities, that affiliate may profit in connection with such hedging activities and such profit, if any, will be in addition to the compensation
that the dealer receives for the sale of the securities to you. You should be aware that the potential to earn fees in connection with hedging activities may create a further incentive for the dealer to sell the securities to you in addition to the
compensation they would receive for the sale of the securities.
P-12
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
There May Not Be An Active Trading Market For The Securities — Sales In The Secondary Market May Result In Significant Losses.
There may be little or no secondary market for the securities. The securities will not be listed or displayed on any securities exchange or any electronic communications network. The Agents and their
respective affiliates may make a market for the securities; however, they are not required to do so. The Agents and their respective affiliates may stop any market-making activities at any time. Even if a secondary market for the securities
develops, it may not provide significant liquidity or trade at prices advantageous to you. We expect that transaction costs in any secondary market would be high. As a result, the difference between bid and ask prices for your securities in any
secondary market could be substantial.
If you sell your securities before the stated maturity date, you may have to do so at a substantial discount from the principal amount irrespective of the price of the Funds, and as a result, you may
suffer substantial losses.
If The Prices Of Any Funds Or Their Constituent Stocks Change, The Market Value Of Your Securities May Not Change In The Same Manner.
Your securities may trade quite differently from the performance of any of the Funds or the securities held by the Funds. Changes in the prices of any Fund or the securities held by the Funds
generally or the lowest performing Fund specifically may not result in a comparable change in the market value of your securities. Even if the price of each Fund increases above its starting price during the term of the securities, the market value
of your securities may not increase by the same amount and could decline.
Risks Relating To The Funds
Any Payments On The Securities And Whether The Securities Are Automatically Called Will Depend Upon The Performance Of The Funds And Therefore The Securities Are Subject To The
Following Risks, Each As Discussed In More Detail In The Accompanying Product Supplement.
| • |
Investing In The Securities Is Not The Same As Investing In The Funds. Investing in the securities is not equivalent to investing in any of the Funds. As an
investor in the securities, your return will not reflect the return you would realize if you actually owned and held the securities held by the Fund for a period similar to the term of the securities because you will not receive any
dividend payments, distributions or any other payments paid on any Fund or those securities. As a holder of the securities, you will not have any voting rights or any other rights that holders of the Funds or the securities held by the
Fund would have.
|
| • |
Historical Values Of A Market Measure Should Not Be Taken As An Indication Of The Future Performance Of The Market Measures During The Term Of The Securities.
|
| • |
Changes That Affect A Fund Or Its Fund Underlying Index May Adversely Affect The Value Of The Securities And Any Payments On The Securities.
|
| • |
We, The Agents And Our or Their Respective Affiliates Cannot Control Actions By Any Of The Unaffiliated Companies Whose Securities Are Included In A Fund Or Its Fund Underlying Index.
|
| • |
We, The Agents And Our or Their Respective Affiliates Have No Affiliation With Any Fund Sponsor Or Fund Underlying Index Sponsor And Have Not Independently Verified Their Public Disclosure Of Information.
|
| • |
An Investment Linked To The Shares Of A Fund Is Different From An Investment Linked To Its Fund Underlying Index.
|
| • |
There Are Management And Liquidity Risks Associated With A Fund.
|
| • |
Anti-dilution Adjustments Relating To The Shares Of A Fund Do Not Address Every Event That Could Affect Such Shares.
|
The Securities Are Subject To Risks Associated With The Sector Tracked By Each Fund.
Each of the Funds is comprised of the stocks of companies in a particular sector that are included in the S&P 500® Index, in each case as described elsewhere in this document. Because
each Fund tracks the performance of companies in one particular sector of the economy, each Fund will be subject to risks associated with the relevant sector. The performance of companies in a particular sector of the economy will be influenced by
many factors that interact in complex and unpredictable ways, including, without limitation, supply and demand for the products and services offered by such companies, industry competition, geopolitical events, public health conditions, interest
rates and governmental action. Adverse developments in the sector tracked by a Fund may have a material adverse effect on the value of that Fund and, accordingly, on the value of the Securities. Because each Fund invests in securities issued by
companies in only one sector of the company, each Fund may underperform alternative investments that are based on the performance of a more diversified group of assets.
Risks Relating To Hedging Activities And Conflicts Of Interest
| • |
Trading And Business Activities By The Bank Or Its Affiliates May Adversely Affect The Market Value Of, And Any Amount Payable On, The Securities.
|
| • |
There Are Potential Conflicts Of Interest Between You And The Calculation Agent.
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P-13
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
Risks Relating To Canadian And U.S. Federal Income Taxation
The Tax Consequences Of An Investment In The Securities Are Unclear.
Significant aspects of the U.S. federal income tax treatment of the securities are uncertain. You should read carefully the section entitled “Material U.S. Federal Income Tax Consequences” herein and
in the product supplement. You should consult your tax advisors as to the tax consequences of your investment in the securities. An investment in the securities is not appropriate for non-U.S. holders, and we will not attempt to ascertain the tax
consequences to non-U.S. holders of the purchase, ownership or disposition of the securities.
For a discussion of the Canadian federal income tax consequences of investing in the securities, please see the discussion herein under “Canadian Taxation” and the further discussion above under
“Terms of the Securities”. If you are not a Non-resident Holder (as that term is defined under “Canadian Taxation” herein) for Canadian federal income tax purposes or if you acquire the securities in the secondary market, you should consult your
tax advisors as to the consequences of acquiring, holding and disposing of the securities and receiving the payments that might be due under the securities.
P-14
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Hypothetical Returns
|
If the securities are automatically called:
If the securities are automatically called prior to stated maturity, you will receive the face amount of your securities plus a final contingent coupon payment on the call settlement date. In the
event the securities are automatically called, your total return on the securities will equal any contingent coupon payments received prior to the call settlement date and the contingent coupon payment received on the call settlement date.
If the securities are not automatically called:
If the securities are not automatically called prior to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing Fund on the final
calculation day, the hypothetical maturity payment amount payable at stated maturity per security (excluding the final contingent coupon payment, if any). The performance factor of the lowest performing Fund on the final calculation day is its
ending price expressed as a percentage of its starting price (i.e., its ending price divided by its starting price).
|
Hypothetical performance factor of
lowest performing Fund on final
calculation day
|
Hypothetical maturity payment amount
per security
|
|
150.00%
|
$1,000.00
|
|
140.00%
|
$1,000.00
|
|
130.00%
|
$1,000.00
|
|
120.00%
|
$1,000.00
|
|
110.00%
|
$1,000.00
|
|
100.00%
|
$1,000.00
|
|
90.00%
|
$1,000.00
|
|
80.00%
|
$1,000.00
|
|
70.00%
|
$1,000.00
|
|
69.00%
|
$690.00
|
|
60.00%
|
$600.00
|
|
50.00%
|
$500.00
|
|
40.00%
|
$400.00
|
|
30.00%
|
$300.00
|
|
20.00%
|
$200.00
|
|
10.00%
|
$100.00
|
|
0.00%
|
$0.00
|
The above figures do not take into account contingent coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate of return
based solely on the maturity payment amount received at maturity; any positive return will be based solely on the contingent coupon payments, if any, received during the term of the securities.
The above figures are for purposes of illustration only and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the actual amount you
will receive at stated maturity will depend on the actual ending price of the lowest performing Fund on the final calculation day. The performance of a better performing Fund is not relevant to your return on the securities.
P-15
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Hypothetical Contingent Coupon Payments
|
Set forth below are examples that illustrate how to determine whether a contingent coupon payment will be paid and whether the securities will be automatically called, if applicable, on a contingent
coupon payment date prior to the stated maturity date. The examples do not reflect any specific contingent coupon payment date. The following examples assume that the securities are subject to automatic call on the applicable calculation day. The
securities will not be subject to automatic call until the second calculation day, which is approximately six months after the issue date. The following examples reflect a hypothetical contingent coupon rate of 13.50% per annum (the minimum
contingent coupon rate specified herein) and assume the hypothetical starting price, coupon threshold price and fund closing prices for each Fund indicated in the examples. The terms used for purposes of these hypothetical examples do not represent
any actual starting price or coupon threshold price. The hypothetical starting price of $100.00 for each Fund has been chosen for illustrative purposes only and does not represent the actual starting price for any Fund. The actual starting price
and coupon threshold price for each Fund will be determined on the pricing date and will be set forth under “Terms of the Securities” above. For historical data regarding the actual fund closing prices of the Funds, see the historical information
provided herein. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The fund closing price of the lowest performing Fund on the relevant calculation day is greater than or equal to its coupon threshold price and less than its starting
price. As a result, investors receive a contingent coupon payment on the applicable contingent coupon payment date and the securities are not automatically called.
|
State Street®
Energy Select
Sector SPDR®
ETF
|
State Street®
Technology
Select Sector
SPDR® ETF
|
State Street®
Health Care
Select Sector
SPDR® ETF
|
||
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
$100.00
|
|
|
Hypothetical fund closing price on relevant calculation day:
|
$90.00
|
$95.00
|
$80.00
|
|
|
Hypothetical coupon threshold price:
|
$75.00
|
$75.00
|
$75.00
|
|
|
Performance factor (fund closing price on calculation day divided by starting price):
|
90.00%
|
95.00%
|
80.00%
|
Step 1: Determine which Fund is the lowest performing Fund on the relevant calculation day.
In this example, the State Street® Health Care Select Sector SPDR® ETF has the lowest performance factor on the relevant calculation day
and is, therefore, the lowest performing Fund on the relevant calculation day.
Step 2: Determine whether a contingent coupon payment will be paid and whether the securities will be automatically called on the applicable contingent
coupon payment date.
Since the hypothetical fund closing price of the lowest performing Fund on the relevant calculation day is greater than or equal to its coupon threshold price,
but less than its starting price, you would receive a contingent coupon payment on the applicable contingent coupon payment date and the securities would not be automatically called. The contingent coupon payment would be equal to $33.75 per
security, determined as follows: (i) $1,000 multiplied by 13.50% per annum divided by (ii) 4, rounded to the nearest cent.
Example 2. The fund closing price of the lowest performing Fund on the relevant calculation day is less than its coupon threshold price. As a result, investors
do not receive a contingent coupon payment on the applicable contingent coupon payment date and the securities are not automatically called.
|
State Street®
Energy Select
Sector SPDR®
ETF
|
State Street®
Technology
Select Sector
SPDR® ETF
|
State Street®
Health Care
Select Sector
SPDR® ETF
|
||
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
$100.00
|
|
|
Hypothetical fund closing price on relevant calculation day:
|
$59.00
|
$125.00
|
$105.00
|
|
|
Hypothetical coupon threshold price:
|
$75.00
|
$75.00
|
$75.00
|
|
|
Performance factor (fund closing price on calculation day divided by starting price):
|
59.00%
|
125.00%
|
105.00%
|
Step 1: Determine which Fund is the lowest performing Fund on the relevant calculation day.
In this example, the State Street® Energy Select Sector SPDR® ETF has the lowest performance factor on the relevant calculation day and
is, therefore, the lowest performing Fund on the relevant calculation day.
Step 2: Determine whether a contingent coupon payment will be paid and whether the securities will be automatically called on the applicable contingent
coupon payment date.
Since the hypothetical fund closing price of the lowest performing Fund on the relevant calculation day is less than its coupon threshold price, you would not receive a contingent coupon
payment on the applicable contingent coupon payment date. In addition, the securities would not be automatically called, even though the fund closing price of a better performing Fund on the
P-16
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
relevant calculation day is greater than or equal to its starting price. As this example illustrates, whether you receive a contingent coupon payment and whether the securities are
automatically called on a contingent coupon payment date will depend solely on the fund closing price of the lowest performing Fund on the relevant calculation day. The performance of a better performing Fund is not relevant to your return on the
securities.
Example 3. The fund closing price of the lowest performing Fund on the relevant calculation day is greater than or equal to its starting price. As a result, the securities are
automatically called on the applicable contingent coupon payment date for the face amount plus a final contingent coupon payment.
|
State Street®
Energy Select
Sector SPDR®
ETF
|
State Street®
Technology
Select Sector
SPDR® ETF
|
State Street®
Health Care
Select Sector
SPDR® ETF
|
||
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
$100.00
|
|
|
Hypothetical fund closing price on relevant calculation day:
|
$115.00
|
$105.00
|
$130.00
|
|
|
Hypothetical coupon threshold price:
|
$75.00
|
$75.00
|
$75.00
|
|
|
Performance factor (fund closing price on calculation day divided by starting price):
|
115.00%
|
105.00%
|
130.00%
|
Step 1: Determine which Fund is the lowest performing Fund on the relevant calculation day.
In this example, the State Street® Technology Select Sector SPDR® ETF has the lowest performance factor on the relevant calculation day and is, therefore, the
lowest performing Fund on the relevant calculation day.
Step 2: Determine whether a contingent coupon payment will be paid and whether the securities will be automatically called on the applicable contingent coupon payment
date.
Since the hypothetical fund closing price of the lowest performing Fund on the relevant calculation day is greater than or equal to its starting price, the securities would be
automatically called and you would receive the face amount plus a final contingent coupon payment on the applicable contingent coupon payment date, which is also referred to as the call settlement date. On the call settlement date, you would
receive $1,033.75 per security.
You will not receive any further payments after the call settlement date.
P-17
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Hypothetical Payment at Stated Maturity
|
Set forth below are examples of calculations of the maturity payment amount payable at stated maturity, assuming that the securities have not been automatically called prior to stated maturity and
assuming the hypothetical starting price, coupon threshold price, downside threshold price and ending prices for each Fund indicated in the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting
price, coupon threshold price or downside threshold price. The hypothetical starting price of $100.00 for each Fund has been chosen for illustrative purposes only and does not represent the actual starting price for any Fund. The actual starting
price, coupon threshold price and downside threshold price for each Fund will be determined on the pricing date and will be set forth under “Terms of the Securities” above. For historical data regarding the actual fund closing prices of the Funds,
see the historical information provided herein. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.
Example 1. The ending price of the lowest performing Fund on the final calculation day is greater than or equal to its starting price, the maturity payment amount is equal to the
face amount of your securities at maturity and you receive a final contingent coupon payment:
|
State Street®
Energy Select
Sector SPDR®
ETF
|
State Street®
Technology
Select Sector
SPDR® ETF
|
State Street®
Health Care
Select Sector
SPDR® ETF
|
||
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
$100.00
|
|
|
Hypothetical ending price:
|
$145.00
|
$135.00
|
$115.00
|
|
|
Hypothetical coupon threshold price:
|
$75.00
|
$75.00
|
$75.00
|
|
|
Hypothetical downside threshold price:
|
$70.00
|
$70.00
|
$70.00
|
|
|
Performance factor (ending price divided by starting price):
|
145.00%
|
135.00%
|
115.00%
|
Step 1: Determine which Fund is the lowest performing Fund on the final calculation day.
In this example, the State Street® Health Care Select Sector SPDR® ETF has the lowest performance factor on the final calculation day and is, therefore, the
lowest performing Fund on the final calculation day.
Step 2: Determine the maturity payment amount based on the ending price of the lowest performing Fund on the final calculation day.
Since the hypothetical ending price of the lowest performing Fund on the final calculation day is greater than or equal to its hypothetical downside threshold price, the maturity
payment amount would equal the face amount. Although the hypothetical ending price of the lowest performing Fund on the final calculation day is significantly greater than its hypothetical starting price in this scenario, the maturity payment
amount will not exceed the face amount.
In addition to any contingent coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security. In addition, because
the hypothetical ending price of the lowest performing Fund on the final calculation day is greater than or equal to its coupon threshold price, you would receive a final contingent coupon payment on the stated maturity date.
Example 2. The ending price of the lowest performing Fund on the final calculation day is less than its starting price but greater than or equal to its downside threshold price and
its coupon threshold price, the maturity payment amount is equal to the face amount of your securities at maturity and you receive a final contingent coupon payment:
|
State Street®
Energy Select
Sector SPDR®
ETF
|
State Street®
Technology
Select Sector
SPDR® ETF
|
State Street®
Health Care
Select Sector
SPDR® ETF
|
||
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
$100.00
|
|
|
Hypothetical ending price:
|
$80.00
|
$115.00
|
$110.00
|
|
|
Hypothetical coupon threshold price:
|
$75.00
|
$75.00
|
$75.00
|
|
|
Hypothetical downside threshold price:
|
$70.00
|
$70.00
|
$70.00
|
|
|
Performance factor (ending price divided by starting price):
|
80.00%
|
115.00%
|
110.00%
|
Step 1: Determine which Fund is the lowest performing Fund on the final calculation day.
In this example, the State Street® Energy Select Sector SPDR® ETF has the lowest performance factor on the final calculation day and is, therefore, the lowest
performing Fund on the final calculation day.
Step 2: Determine the maturity payment amount based on the ending price of the lowest performing Fund on the final calculation day.
Since the hypothetical ending price of the lowest performing Fund on the final calculation day is less than its hypothetical starting price, but not by more than 30%, you would
receive the face amount of your securities at maturity.
P-18
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
In addition to any contingent coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security. In addition, because the hypothetical
ending price of the lowest performing Fund on the final calculation day is greater than or equal to its coupon threshold price, you would receive a final contingent coupon payment on the stated maturity date.
Example 3. The ending price of the lowest performing Fund on the final calculation day is less than its starting price and its coupon threshold price but greater than or equal to
its downside threshold price, the maturity payment amount is equal to the face amount of your securities at maturity, but you will not receive a final contingent coupon payment:
|
State Street®
Energy Select
Sector SPDR®
ETF
|
State Street®
Technology
Select Sector
SPDR® ETF
|
State Street®
Health Care
Select Sector
SPDR® ETF
|
||
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
$100.00
|
|
|
Hypothetical ending price:
|
$110.00
|
$115.00
|
$72.00
|
|
|
Hypothetical coupon threshold price:
|
$75.00
|
$75.00
|
$75.00
|
|
|
Hypothetical downside threshold price:
|
$70.00
|
$70.00
|
$70.00
|
|
|
Performance factor (ending price divided by starting price):
|
110.00%
|
115.00%
|
72.00%
|
Step 1: Determine which Fund is the lowest performing Fund on the final calculation day.
In this example, the State Street® Health Care Select Sector SPDR® ETF has the lowest performance factor on the final calculation day and is, therefore, the
lowest performing Fund on the final calculation day.
Step 2: Determine the maturity payment amount based on the ending price of the lowest performing Fund on the final calculation day.
Since the hypothetical ending price of the lowest performing Fund on the final calculation day is less than its hypothetical starting price, but not by more than 30%, you would
receive the face amount of your securities at maturity.
In addition to any contingent coupon payments received during the term of the securities, on the stated maturity date you would receive $1,000 per security. However, because the hypothetical ending
price of the lowest performing Fund on the final calculation day is less than its coupon threshold price, you would not receive a final contingent coupon payment on the stated maturity date.
Example 4. The ending price of the lowest performing Fund on the final calculation day is less than its downside threshold price and its coupon threshold price, the maturity
payment amount is less than the face amount of your securities at maturity and you do not receive a final contingent coupon payment:
|
State Street®
Energy Select
Sector SPDR®
ETF
|
State Street®
Technology
Select Sector
SPDR® ETF
|
State Street®
Health Care
Select Sector
SPDR® ETF
|
||
|
Hypothetical starting price:
|
$100.00
|
$100.00
|
$100.00
|
|
|
Hypothetical ending price:
|
$120.00
|
$45.00
|
$90.00
|
|
|
Hypothetical coupon threshold price:
|
$75.00
|
$75.00
|
$75.00
|
|
|
Hypothetical downside threshold price:
|
$70.00
|
$70.00
|
$70.00
|
|
|
Performance factor (ending price divided by starting price):
|
120.00%
|
45.00%
|
90.00%
|
Step 1: Determine which Fund is the lowest performing Fund on the final calculation day.
In this example, the State Street® Technology Select Sector SPDR® ETF has the lowest performance factor on the final calculation day and is,
therefore, the lowest performing Fund on the final calculation day.
Step 2: Determine the maturity payment amount based on the ending price of the lowest performing Fund on the final calculation day.
Since the hypothetical ending price of the lowest performing Fund on the final calculation day is less than its hypothetical starting price by more than 30%, you
would lose a portion of the face amount of your securities and receive the maturity payment amount equal to $450.00 per security, calculated as follows:
= $1,000 × performance factor of the lowest performing Fund on the final calculation day
= $1,000 × 45.00%
= $450.00
In addition to any contingent coupon payments received during the term of the securities, on the stated maturity date you would receive $450.00 per security.
Because the hypothetical ending price of the lowest performing Fund on the final calculation day is less than its coupon threshold price, you would not receive a final contingent coupon payment on the stated maturity date.
These examples illustrate that you will not participate in any appreciation of any Fund, but will be fully exposed to a decrease in the lowest performing Fund if the ending price of
the lowest performing Fund on the final calculation day is less than its downside threshold price, even if the ending price of another Fund has appreciated or has not declined below its downside threshold price.
To the extent that the starting price, coupon threshold price, downside threshold price and ending price of the lowest performing Fund differ from the values assumed above, the
results indicated above would be different.
P-19
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
Information Regarding The Market Measures
|
All disclosures contained in this document regarding each Fund, including, without limitation, its make-up, method of calculation, and changes in any securities held by each
Fund, have been derived from publicly available sources. We have not undertaken an independent review or due diligence of any publicly available information with respect to any Fund. The information reflects the policies of, and is subject to
change by, its respective investment adviser. No investment adviser has any obligation to continue to publish, and may discontinue publication of, the applicable Fund. None of the websites referenced in any Fund description below, or any materials
included in those websites, is incorporated by reference into this document or any document incorporated herein by reference. We have not independently verified the accuracy or completeness of reports filed by any investment adviser with the SEC,
information published by it on its website or in any other format, information about it obtained from any other source or the information provided below.
Each Fund is registered under the Securities Act of 1933, the Investment Company Act of 1940, each as amended, and/or the Exchange Act. Companies with securities registered with
the SEC are required to file financial and other information specified by the SEC periodically. Information filed by each Investment Adviser with the SEC can be reviewed electronically through a website maintained by the SEC. The address of the
SEC’s website is sec.gov. Information filed with the SEC by each Fund can be located by reference to its SEC file number provided below.
The graphs below set forth the information relating to the historical performance of each Fund. The graphs below show the daily historical Closing Values of each Fund for the
periods specified. We obtained the information regarding the historical performance of each Fund in the graphs below from Bloomberg Professional® service (“Bloomberg”). The Closing Values may be adjusted by Bloomberg for corporate
actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
We have not independently verified the accuracy or completeness of the information obtained from Bloomberg. The historical performance of each Fund should not be taken as an
indication of its future performance, and no assurance can be given as to the Final Value of any Fund. We cannot give you any assurance that the performance of the Funds will result in a positive return on your initial investment.
Please see “Indices—The Select Sector Indices” in the accompanying underlier supplement for a description of each fund underlying index.
P-20
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
State Street® Energy Select Sector SPDR® ETF
|
We have derived all information contained herein regarding the State Street® Energy Select Sector SPDR® ETF (the “XLE Fund”) and the fund underlying index
from publicly available information. Such information reflects the policies of, and is subject to changes by, the XLE Fund’s investment adviser, SSGA Funds Management, Inc. (“SSGA” or the “investment adviser”) and the index sponsor of its fund
underlying index.
The XLE Fund is one of the separate investment portfolios that constitute The Select Sector SPDR® Trust (“Select Sector SPDR”). The XLE Fund seeks to provide
investment results that correspond generally to the price and yield performance, before fees and expenses, of the fund underlying index. The fund underlying index seeks to measure the performance of the energy segment of the U.S. equity market and
includes companies that have been identified as energy companies on the basis of general industry classification from a universe of companies defined by the S&P 500® Index, including securities of companies from the following
industries: oil, gas and consumable fuels; and energy equipment and services. The fund underlying index is calculated, maintained and published by, S&P Dow Jones Indices LLC (the “index sponsor”). The index sponsor is under no obligation to
continue to publish, and may discontinue or suspend the publication of, the fund underlying index at any time.
Select information regarding the XLE Fund’s expense ratio and its top constituents, country, industry and/or sector weightings may be made available on the XLE Fund’s website.
Expenses of the XLE Fund reduce the net asset value of the assets held by the XLE Fund and, therefore, reduce the value of the shares of the XLE Fund.
In seeking to track the performance of the fund underlying index, the XLE Fund employs a replication strategy, which means that the XLE Fund typically invests in substantially
all of the securities represented in the fund underlying index in approximately the same proportions as the fund underlying index. Under normal market conditions, the XLE Fund generally invests substantially all, but at least 95%, of its total
assets in the securities comprising the fund underlying index. In addition, the XLE Fund may invest in cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market funds advised
by SSGA).
Shares of the XLE Fund are listed on the NYSE Arca under the ticker symbol “XLE”.
Information from outside sources including, but not limited to the prospectus related to the XLE Fund and any other website referenced in this section, is not incorporated by
reference in, and should not be considered part of, this document or any document incorporated herein by reference. We have not undertaken an independent review or due diligence of any publicly available information with respect to the XLE Fund or
the fund underlying index.
Information filed by Select Sector SPDR with the SEC, including the prospectus for the XLE Fund, can be found by reference to its SEC file numbers: 333-57791 and 811-08837 or its
CIK Code: 0001064641.
Historical Information
We obtained the closing prices of the XLE Fund in the graph below from Bloomberg, without independent verification.
The following graph sets forth daily closing prices of the XLE Fund for the period from January 1, 2021 to April 24, 2026. Its closing price on April 24, 2026 was $56.87. The historical performance
of the XLE Fund should not be taken as an indication of the future performance of the XLE Fund, and no assurance can be given as to the closing price of the XLE Fund on any day during the term of the securities. We cannot give you any assurance
that the performance of the XLE Fund will result in any positive return on your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
P-21
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
State Street® Technology Select Sector SPDR® ETF
|
We have derived all information contained herein regarding the State Street® Technology Select Sector SPDR® ETF (the “XLK Fund”) and the fund underlying
index from publicly available information. Such information reflects the policies of, and is subject to changes by, the XLK Fund’s investment adviser, SSGA Funds Management, Inc. (“SSGA”) and the index sponsor of its fund underlying index.
The XLK Fund is one of the separate investment portfolios that constitute The Select Sector SPDR® Trust (“Select Sector SPDR”). The XLK Fund seeks to provide
investment results that correspond generally to the price and yield performance, before fees and expenses, of the fund underlying index The fund underlying index seeks to measure the performance of the information technology segment of the U.S.
equity market and includes companies that have been identified as information technology companies on the basis of general industry classification from a universe of companies defined by the S&P 500® Index, including securities of
companies from the following industries: technology hardware, storage, and peripherals; software; communications equipment; semiconductors and semiconductor equipment; IT services; and electronic equipment, instruments and components. The fund
underlying index is calculated, maintained and published by, S&P Dow Jones Indices LLC (the “index sponsor”). The index sponsor is under no obligation to continue to publish, and may discontinue or suspend the publication of, the fund
underlying index at any time.
Select information regarding the XLK Fund’s expense ratio and its top constituents, country, industry and/or sector weightings may be made available on the XLK Fund’s website.
Expenses of the XLK Fund reduce the net asset value of the assets held by the XLK Fund and, therefore, reduce the value of the shares of the XLK Fund.
In seeking to track the performance of the fund underlying index, the XLK Fund employs a replication strategy, which means that the XLK Fund typically invests in substantially
all of the securities represented in the fund underlying index in approximately the same proportions as the fund underlying index. Under normal market conditions, the XLK Fund generally invests substantially all, but at least 95%, of its total
assets in the securities comprising the fund underlying index. In addition, the XLK Fund may invest in cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market funds advised
by SSGA).
Shares of the XLK Fund are listed on the NYSE Arca under the ticker symbol “XLK”.
Information from outside sources including, but not limited to the prospectus related to the XLK Fund and any other website referenced in this section, is not incorporated by
reference in, and should not be considered part of, this document or any document incorporated herein by reference. We have not undertaken an independent review or due diligence of any publicly available information with respect to the XLK Fund or
the fund underlying index.
Information filed by Select Sector SPDR with the SEC, including the prospectus for the XLK Fund, can be found by reference to its SEC file numbers: 333-57791 and 811-08837 or its
CIK Code: 0001064641.
Historical Information
We obtained the closing prices of the XLK Fund in the graph below from Bloomberg, without independent verification.
The following graph sets forth daily closing prices of the XLK Fund for the period from January 1, 2021 to April 24, 2026. Its closing price on April 24, 2026 was $160.22. The historical performance
of the XLK Fund should not be taken as an indication of the future performance of the XLK Fund, and no assurance can be given as to the closing price of the XLK Fund on any day during the term of the securities. We cannot give you any assurance
that the performance of the XLK Fund will result in any positive return on your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
P-22
|
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
|
|
State Street® Health Care Select Sector SPDR® ETF
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We have derived all information contained herein regarding the State Street® Health Care Select Sector SPDR® ETF (the “XLV Fund”) and the fund underlying index from publicly
available information. Such information reflects the policies of, and is subject to changes by, the XLV Fund’s investment adviser, SSGA Funds Management, Inc. (“SSGA” or the “investment adviser”) and the index
sponsor of its fund underlying index.
The XLV Fund is one of the separate investment portfolios that constitute The Select Sector SPDR® Trust (“Select Sector SPDR”). The XLV Fund seeks to
provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the fund underlying index. The fund underlying index seeks to measure the performance
of the health care segment of the U.S. equity market and includes companies that have been identified as health care companies on the basis of general industry classification from a universe of companies defined by the S&P 500® Index, including securities of companies from the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services; biotechnology;
life sciences tools and services; and health care technology. The fund underlying index is calculated, maintained and published by, S&P Dow Jones Indices LLC (the “index sponsor”). The index sponsor is under no obligation to continue to
publish, and may discontinue or suspend the publication of, the fund underlying index at any time.
Select information regarding the XLV Fund’s expense ratio and its top constituents, country, industry and/or sector weightings may be made available on the XLV Fund’s website. Expenses of the XLV
Fund reduce the net asset value of the assets held by the XLV Fund and, therefore, reduce the value of the shares of the XLV Fund.
In seeking to track the performance of the fund underlying index, the XLV Fund employs a replication strategy, which means that the XLV Fund typically invests in substantially all of the securities
represented in the fund underlying index in approximately the same proportions as in the fund underlying index. Under normal market conditions, the XLV Fund generally invests substantially all, but at least 95%, of its total assets in the
securities comprising the fund underlying index. In addition, the XLV Fund may invest in cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market funds advised by SSGA).
Shares of the XLV Fund are listed on the NYSE Arca under the ticker symbol “XLV”.
Information from outside sources including, but not limited to the prospectus related to the XLV Fund and any other website referenced in this section, is not incorporated by reference in, and should
not be considered part of, this document or any document incorporated herein by reference. We have not undertaken an independent review or due diligence of any publicly available information with respect to the XLV Fund or the fund underlying
index.
Information filed by Select Sector SPDR with the SEC, including the prospectus for the XLV Fund, can be found by reference to its SEC file numbers: 333-57791 and 811-08837 or its CIK Code:
0001064641.
Historical Information
We obtained the closing prices of the XLV Fund in the graph below from Bloomberg, without independent verification.
The following graph sets forth daily closing prices of the XLV Fund for the period from January 1, 2021 to April 24, 2026. Its closing price on April 24, 2026 was $144.18. The historical performance
of the XLV Fund should not be taken as an indication of the future performance of the XLV Fund, and no assurance can be given as to the closing price of the XLV Fund on any day during the term of the securities. We cannot give you any assurance
that the performance of the XLV Fund will result in any positive return on your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
P-23
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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Material U.S. Federal Income Tax Consequences
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You should carefully review the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. The following discussion, when read in
combination with that section, constitutes the full opinion of our special U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson, LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the securities.
Due to the absence of statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities
with terms that are substantially the same as the securities, no assurance can be given that the Internal Revenue Service (“IRS”) or a court will agree with the tax treatment described herein. Pursuant to the terms of the securities, the Bank and
you agree, in the absence of a statutory or regulatory change or an administrative determination or judicial ruling to the contrary, to characterize the securities as prepaid derivative contracts with respect to the Funds with associated contingent
coupon payments. You further agree to include any associated contingent coupon payment that is paid by the Bank (including on the stated maturity date or call settlement date) in your income as ordinary income in accordance with your regular method
of accounting for U.S. federal income tax purposes. If the securities are so treated, upon the taxable disposition (including cash settlement) of your securities, you generally should recognize gain or loss equal to the difference between the
amount realized on such taxable disposition (adjusted for amounts or proceeds attributable to any accrued and unpaid contingent coupon payments, which would be treated as ordinary income) and your tax basis in the securities. Subject to the
constructive ownership rules of Section 1260 of the Code (discussed below), such gain or loss should be long-term capital gain or loss if you have held your securities for more than one year (otherwise, short-term capital gain or loss). The
deductibility of capital losses is subject to limitations. Although uncertain, it is possible that proceeds received from the sale or exchange of your securities prior to a contingent coupon payment date, but that could be attributed to an expected
contingent coupon payment, could be treated as ordinary income. You should consult your tax advisor regarding this risk.
Section 1260. Because the securities are linked to the shares of exchange traded funds, it is possible that an investment in the
securities could be treated as a “constructive ownership transaction” within the meaning of Section 1260 of the Code. If the securities were treated as a constructive ownership transaction, certain adverse U.S. federal income tax consequences could
apply (i.e., all or a portion of any long-term capital gain that you recognize upon the taxable disposition of your securities could be recharacterized as ordinary income and you could be subject to an interest charge on deferred tax liability with
respect to such recharacterized gain). We urge you to read the discussion concerning the possible treatment of the securities as a constructive ownership transaction under “Material U.S. Federal Income Tax Consequences — U.S. Tax Treatment —
Securities Treated as Prepaid Derivatives or Prepaid Forwards — Section 1260” in the product supplement.
Based on certain factual representations received from us, our special U.S. tax counsel, Fried, Frank, Harris, Shriver & Jacobson LLP, is of the opinion that it would be
reasonable to treat your securities in the manner described above. However, because there is no authority that specifically addresses the tax treatment of the securities, it is possible that your securities could alternatively be treated for tax
purposes as a single contingent payment debt instrument, or pursuant to some other characterization (including possible treatment as a “constructive ownership transaction” under Section 1260 of the Code, as discussed above), such that the timing
and character of your income from the securities could differ materially and adversely from the treatment described above, as described further under “Material U.S. Federal Income Tax Consequences – Alternative Treatments” in the product
supplement.
The U.S. Department of the Treasury and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”, such as
the securities, and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax treatment of
derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative tax treatments of the securities and potential changes in applicable law.
An investment in the securities is not appropriate for non-U.S. holders because such an investment may result in significant adverse tax consequences. In particular, persons having withholding
responsibility in respect of the securities may withhold on any contingent coupon payment paid to you, generally at a rate of 30%, and to the extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities,
we intend to so withhold. This discussion does not otherwise address the tax consequences to non-U.S. holders of the purchase, ownership or disposition of the securities.
P-24
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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Canadian Taxation
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The following is, as of the date hereof, a summary of the principal Canadian federal income tax considerations under the Income Tax Act (Canada) and the regulations promulgated thereunder
(collectively, the “Canadian Tax Act”) generally applicable to a holder who is an individual and who acquires beneficial ownership of a security upon the initial issuance of the security by the Bank pursuant to this offering document or common
shares of the Bank or any of its affiliates on a conversion of a security on a bail-in conversion (if applicable), and who, for purposes of the Canadian Tax Act and any applicable income tax treaty, at all relevant times, is not resident and is not
deemed to be resident in Canada, and who, for purposes of the Canadian Tax Act, at all relevant times, (i) deals at arm’s length with, and is not affiliated with, the Bank, any affiliate of the Bank, and any Canadian resident (or deemed Canadian
resident) to whom the holder assigns or otherwise transfers the security, (ii) is entitled to receive all payments (including any interest, principal and dividends, if applicable) made on the security as beneficial owner, (iii) is not, and deals at
arm’s length with each person who is, a “specified shareholder” (within the meaning of subsection 18(5) of the Canadian Tax Act) of the Bank and each affiliate of the Bank, (iv) is not an entity in respect of which the Bank or any affiliate of the
Bank is a “specified entity” (as defined in subsection 18.4(1) of the Canadian Tax Act); (v) holds the security or common shares of the Bank or any of its affiliates as capital property, (vi) does not use or hold and is not deemed to use or hold
the security or common shares of the Bank or any of its affiliates in or in the course of carrying on a business in Canada or as part of an adventure or concern in the nature of trade and (vii) is not an insurer carrying on an insurance business in
Canada and elsewhere (a “Non-resident Holder”).
This summary assumes that no amount paid or payable to a Non-resident Holder will be the deduction component of a “hybrid mismatch arrangement” under which the payment arises within the meaning of
paragraph 18.4(3)(b) of the Canadian Tax Act. This summary further assumes that no security or property acquired on settlement of a security will be “taxable Canadian property” to a Non-resident Holder for purposes of the Canadian Tax Act at the
time of its disposition or deemed disposition.
This summary is based upon the current provisions of the Canadian Tax Act in force as of the date hereof. On January 29, 2026, the Department of Finance (Canada) released for
consultation proposed amendments to the Canadian Tax Act (the “January 29 Tax Proposals”) that would amend certain provisions of the Canadian Tax Act with respect to “hybrid mismatch arrangements” and introduce other consequential amendments. This
overview does not take into account the January 29 Tax Proposals, but otherwise takes into account all other specific proposals to amend the Canadian Tax Act publicly announced by or on behalf of the Minister of Finance (Canada) prior to the date
hereof (the “Tax Proposals”) and the current administrative policies of the Canada Revenue Agency (“CRA”) published in writing by the CRA prior to the date hereof. This summary is not exhaustive of all possible Canadian federal income tax
considerations relevant to an investment in securities and, except for the Tax Proposals, does not take into account or anticipate any changes in law or CRA administrative policies, whether by way of legislative, governmental or judicial decision
or action, nor does it take into account or consider any other federal tax considerations or any provincial, territorial or foreign tax considerations, which may differ materially from those discussed herein. While this summary assumes that the Tax
Proposals will be enacted in the form proposed, no assurance can be given that this will be the case, and no assurance can be given that judicial, legislative or administrative changes will not modify or change the statements below.
The following is only a general summary of certain Canadian federal non-resident withholding and other tax provisions which may affect a Non-resident Holder of the securities
described in this offering document. This summary is not, and is not intended to be, and should not be construed to be, legal or tax advice to any particular Non-resident Holder and no representation with respect to the income tax consequences to
any particular Non-resident Holder is made. Persons considering investing in securities should consult their own tax advisors with respect to the tax consequences of acquiring, holding and disposing of securities and any common shares of the Bank
or any of its affiliates acquired on a bail-in conversion having regard to their own particular circumstances.
For the purposes of the Canadian Tax Act, all amounts not otherwise expressed in Canadian dollars must be converted into Canadian dollars based on the single day exchange rate as quoted by the Bank
of Canada for the applicable day or such other rate of exchange that is acceptable to the Minister of National Revenue (Canada).
Securities
Interest (including amounts on account or in lieu of payment of, or in satisfaction of, interest) paid or credited, or deemed to be paid or credited, on a security to a Non-resident Holder will not
be subject to Canadian non-resident withholding tax unless all or any part of such interest is “participating debt interest”. “Participating debt interest” is defined in the Canadian Tax Act generally as interest (other than on a “prescribed
obligation” described below) all or any portion of which is contingent or dependent on the use of or production from property in Canada or is computed by reference to revenue, profit, cash flow, commodity price or any other similar criterion or by
reference to dividends paid or payable to shareholders of any class or series of shares of the capital stock of a corporation. A “prescribed obligation” for this purpose is an “indexed debt obligation”, as defined in the Canadian Tax Act, in
respect of which no amount payable is: (a) contingent or dependent upon the use of, or production from, property in Canada, or (b) computed by reference to: (i) revenue, profit, cash flow, commodity price or any other similar criterion, other than
a change in the purchasing power of money, or (ii) dividends paid or payable to shareholders of any class or series of shares of the capital stock of a corporation. An “indexed debt obligation” is a debt obligation the terms or conditions of which
provide for an adjustment to an amount payable in respect of the obligation for a period during which the obligation was outstanding that is determined by reference to a change in the purchasing power of money.
In the event that a security is redeemed, cancelled, purchased or repurchased by the Bank or any other person resident or deemed to be resident in Canada from a Non-resident Holder or is otherwise
assigned or transferred by a Non-resident Holder to the Bank or another person resident or deemed to be resident in Canada for an amount which exceeds, generally, the issue price thereof, the excess may, in certain circumstances be deemed to be
interest and may, together with any interest that has accrued or is deemed to have accrued on the security to that time, be subject to Canadian non-resident withholding tax if all or any part of such interest or deemed interest is
P-25
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the State Street® Energy Select Sector SPDR® ETF, the
State Street® Technology Select Sector SPDR® ETF and the State Street® Health Care Select Sector SPDR® ETF due May 30, 2029
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participating debt interest; unless, in certain circumstances, the security is not an indexed debt obligation (described above) and was issued for an amount not less than 97% of its principal amount (as defined in
the Canadian Tax Act), and the yield from the security, expressed in terms of an annual rate (determined in accordance with the Canadian Tax Act) on the amount for which the security was issued, does not exceed 4/3 of the interest stipulated to be
payable on the security, expressed in terms of an annual rate on the outstanding principal amount from time to time.
If applicable, the normal rate of Canadian non-resident withholding tax is 25% but such rate may be reduced under the terms of an applicable income tax treaty.
Generally, there are no other Canadian taxes on income (including taxable capital gains) payable by a Non-resident Holder under the Canadian Tax Act solely as a consequence of the acquisition,
ownership or disposition of securities by the Non-resident Holder.
Common Shares Acquired on a Bail-in Conversion
Dividends (including amounts on account or in lieu of payment of, or in satisfaction of, dividends) paid or credited or deemed to be paid or credited to a Non-resident Holder on any common shares of
the Bank or common shares of an affiliate of the Bank that is a Canadian resident corporation will be subject to Canadian non-resident withholding tax of 25% but such rate may be reduced under the terms of an applicable income tax treaty.
A Non-resident Holder will not be subject to tax under the Canadian Tax Act on any capital gain realized on a disposition or deemed disposition of any common shares of the Bank or common shares of an
affiliate of the Bank unless such shares constitute “taxable Canadian property” to the Non-resident Holder for purposes of the Canadian Tax Act at the time of their disposition, and such Non-resident Holder is not entitled to relief pursuant to the
provisions of an applicable income tax treaty. Non-resident Holders should consult their own tax advisors with respect to their particular circumstances.
P-26
FAQ
What are the TD (Toronto-Dominion Bank) securities being offered?
Answer: TD is offering auto-callable, ETF-linked senior debt securities with a $1,000 face amount due May 30, 2029.
They are linked to the lowest performing of XLE, XLK and XLV, pay quarterly contingent coupons (minimum 13.50% p.a.), and carry issuer credit risk and limited secondary-market liquidity.
How and when are contingent coupons paid on TD's offering (TD)?
Answer: Contingent coupons are paid quarterly if the lowest performing Fund on the related calculation day is at or above its coupon threshold.
The coupon threshold equals 75% of each Fund’s starting price; payments are ($1,000 × contingent coupon rate)/4 and are only made when that condition is met on each calculation day.
When will the securities be automatically called and what do holders receive?
Answer: If on any calculation day between November 2026 and February 2029 the lowest performing Fund is at or above its starting price, the securities will be automatically called.
Called holders receive the face amount of $1,000 plus a final contingent coupon payment on the related call settlement date; no further rights remain after the call.
What principal protection exists at maturity for TD's securities?
Answer: Principal protection is conditional: at maturity you receive $1,000 only if the lowest performing Fund’s ending price is at or above its downside threshold (70% of starting price).
If below that threshold, maturity pays $1,000 × performance factor, exposing holders to losses—potentially more than 30% or total loss.
What is the estimated value and how does it compare to the offering price for TD's securities?
Answer: The issuer estimates the securities’ value on the pricing date between $910.00 and $945.00 per security, below the offering price of $1,000.
This gap reflects agent discounts, structuring costs and expected hedging profits and may depress secondary-market prices.